Compression of time series by extracting major extrema

  • Authors:
  • Eugene Fink;Harith Suman Gandhi

  • Affiliations:
  • Department of Computer Science, Carnegie Mellon University, Pittsburgh, PA 15213, USA;Department of Computer Science, Carnegie Mellon University, Pittsburgh, PA 15213, USA

  • Venue:
  • Journal of Experimental & Theoretical Artificial Intelligence
  • Year:
  • 2011

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Abstract

We formalise the notion of important extrema of a time series, that is, its major minima and maxima; analyse the basic mathematical properties of important extrema; and apply these results to the problem of time-series compression. First, we define the numeric importance levels of extrema in a series, and present algorithms for identifying major extrema and computing their importances. Then, we give a procedure for fast lossy compression of a time series at a given rate, by extracting its most important minima and maxima, and discarding the other points.